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Risk Advisory for Banks?
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We support the Chief Risk Officer and his team from risk strategy to implementation. With expertise in market, credit, liquidity and operational risk, we advise both from a governance and a modelling perspective.
The current banking landscape poses significant challenges: besides an increasing complexity of financial regulations, competition within the financial industry is also growing. Whereas the banking industry used to be composed primarily of traditional institutions, many new challengers are now entering the market. In this world of increasing complexity and uncertainty, a solid and reliable risk management function is a growing differentiator in the marketplace. We enable banks to achieve both regulatory compliance and strategic risk goals, by offering support from strategy to implementation.
With the recent avalanche of ESG-related guidance and regulations, it is easy to lose track of the corresponding timelines.
Climate change poses a serious and growing threat to the entire world. In the necessary transition to a more sustainable economy, banks can play an important role. This is why sustainability – and c...
On Thursday 8 September 2022, we hosted the Zanders Risk Management Seminar at the Muntgebouw, Utrecht.
The use of counterparty credit ratings is standard practice for evaluating the creditworthiness of counterparties.
Financial institutions (FIs) play an important role in the transition towards a more sustainable economy in which Environmental, Social and Governance (ESG) factors are properly addressed.
On Thursday 9 June, we hosted a roundtable in our head office in Utrecht titled ’Integrating ESG risks into a bank’s credit risk framework’. The roundtable was attended by credit and climate ris...
On Friday 8 July, the European Central Bank (ECB) published the results of the climate risk stress test that was performed in the first half of this year. In total 104 banks participated in the stress...
The recent rises in global interest rates mark the first raise in a long time, as the loose monetary policies and quantitative easing (QE) introduced after the 2008 crash and Covid-19 pandemic abate.
Interest rates have been low and even negative for many years but are now rising significantly. Central banks all over the world are announcing rate hikes to put a halt to the severe macro inflation. ...
A key challenge for risk modelers is to assess whether the available historical data is representative for the (near) future. This determines to a large extent whether a more backward-looking or a for...
Amidst the aftermath of the corona pandemic and the unfolding tragedy in Ukraine, the Intergovernmental Panel on Climate Change (IPCC) published its latest report1 on climate change on 28 February 202...
This is the first time that the European Central Bank (ECB) has selected climate risk as topic for its 2022 annual supervisory stress test, which is part of the Supervisory Review and Evaluation Proce...
On 24 January 2022, the European Banking Authority (EBA) published its final draft Implementing Technical Standards (ITS) on Pillar 3 (P3) disclosures on Environmental, Social and Governance (ESG) ris...
On 2 December 2021, the European Banking Authority (EBA) published three consultation papers related to its ‘Guidelines on the management of interest rate risk arising from non-trading book activiti...
On 2 December 2021, the European Banking Authority (EBA) published three consultation papers related to its ‘Guidelines on the management of interest rate risk arising from non-trading book activiti...
With the publication of the draft implementing technical standards on disclosure requirements for Interest Rate Risk in the Banking Book (IRRBB), the European Banking Authority (EBA) has taken another...
Managing interest rate and liquidity risk on savings and current accounts is a hot topic for banks in 2021. Risk, ALM, and treasury managers have to navigate changing regulatory requirements, changing...
Currently, for many organizations, operational resilience is at the top of the agenda of the Board and senior management. The COVID-19 pandemic clearly showed how vulnerable societies and organization...
In the past 20 years, all industries have felt the impact of technological innovation. In some cases, this impact has been so great that disruption has occurred. A clear and often used example is the ...
Recent technological advances increase the possibility of using qualitative data in risk models to ensure a timelier recognition of threats. News articles, which can be seen as a type of unstructured ...
Climate and environmental changes are viewed among the most important risks in society at present. As the financial sector is key for the transition towards a low-carbon and more circular economy, fin...
On 5 March 2021, the Financial Conduct Authority (FCA) announced the official dates of the cessation and loss of representativeness of the LIBOR rates. As a result, 31 December 2021 will be the last d...
On 5 March 2021, the Financial Conduct Authority (FCA) announced the official dates of the cessation and loss of representativeness of the LIBOR rates. As a result, 31 December 2021 will be the last d...
At the end of this year, the LIBOR we currently know will be discontinued. For some currencies, the calculation methodology will be adjusted, while others will move to a brand new or alternative risk-...
Machine learning (ML) models have already been around for decades. The exponential growth in computing power and data availability, however, has resulted in many new opportunities for ML models. One p...
The low interest rate environment has faced banks with structural changes in customer behavior and converging products such as savings and current accounts. ING, one of Europe’s largest players in t...
The fight against money laundering (ML) and terrorist financing contributes to global security, the integrity of the financial system and sustainable growth. In recent years, financial institutions ha...
The Financial Conduct Authority (FCA) ensured bank panels support LIBOR, and this is coming to a close at the end of 2021. Currently more than 80% of CHF loans are priced with the CHF LIBOR as a basis...
Since the introduction of the Pillar 1 capital charge for market risk, banks must hold capital for Foreign Exchange (FX) risk, irrespective of whether the open FX position was held on the trading or t...
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for co...
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for co...
The Swiss Average Rate Overnight (SARON) is expected to replace CHF LIBOR by the end of 2021. The transition to this new reference rate includes debates concerning the alternative methodologies for co...
While scientists and politicians do not always agree on the plan for how to fight the corona pandemic, there is consensus on one aspect: the economic crisis we have entered as a result may develop to ...
The risk models that banks use are validated by model risk managers. It is their role to determine whether all risks facing the bank have been properly identified. Martijn Habing, head of Model Risk M...
As we live through the coronavirus crisis, people have started to gauge the economic consequences that the measures taken to combat the crisis may have. These are likely to be severe, with a significa...
As climate-related risks may result in physical and transition risks (please see Read More
The Single Resolution Board (SRB) published its final ‘Expectations for Banks’ report, along with an overview of SRB responses to the industry consultation.
The European Banking Authority (EBA) is regularly executing EU-wide stress tests focussing on enhancing transparency, restoring trust in the financial sector and improving banks’ resilience after th...
The Financial Conduct Authority (FCA) will stop supporting LIBOR from the end of 2021, while more than 80% of CHF loans are currently priced based on the CHF LIBOR. According to the Swiss National Wor...
Swiss banks must calculate a general loss provision for inherent default.
As with famous movie franchises like Star Wars, The Avengers and James Bond, many risk management professionals have had to wait a few years for the next episode of the Zanders Risk Management Seminar...
Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial instituti...
During the past 20 years, mobile services have changed so much in our lives - from ordering a taxi, eating out, or simply the way that we communicate with one another. Relatively speaking, banks have ...
After the long-acknowledged fact that global warming has catastrophic consequences, it is also increasingly recognized that climate change will impact the financial industry. The Bank of England is ev...
A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught...
During the past few years, the Dutch mortgage market has changed. Although their name suggests otherwise, fixed rate mortgages are nowadays anything but fixed.
Today's financial institutions face a highly structured work culture and a seemingly never-ending barrage of new regulations such as Basel III and accounting standards such as IFRS 17.
Risk management and treasury specialists are using diverse models on a daily basis to manage various risks. It is easy to forget about the risk that is implied in using the model itself. What we refer...
Thanks to exponential technological developments, the world is becoming increasingly connected and accessible, in the broadest sense of the word. This is why running nearly any type of business has be...
Much has been done to define new regulations for the banking sector since the financial crisis. The prudential rules of Basel 3 with the so-called 'final reform' of December 2017 (commonly referred to...
Missing the functional piece in a data project puzzle - The financial industry is going through a disruptive phase, in which buzzwords such as blockchain, big data and deep learning are enticing finan...
What exactly are liquidity spreads and liquidity spread risk? And how can banks incorporate liquidity spread risk into their risk management framework?
The FinTech buzz is doing the rounds at Zanders too! But… what exactly does the hype mean for us treasurers and risk managers in the real world today? If your viewpoint is, like ours, that financial...
In April 2018, The Economist wrote about the sharp increase of methane in the atmosphere during the past 10 years. This increase is worrying because, like carbon dioxide, methane retains heat and cont...
As automation and digitalization are adopted more widely in the financial industry, the number of financial models used is also steadily growing. As a result, an institution’s success or failure dep...
One of the most fundamental drivers for a retail bank’s net interest income is inherent in the bank’s balance sheet structure and is related to the fact that assets and liabilities do not have sim...
Recently, several European banking supervisors issued publications on financial technology (fintech) companies and big data.
In 2014, with its Think Forward strategy, ING set the goal to further standardize and streamline its organization. At the time, changes in international regulations were also in full swing. So far so ...
In the film Margin Call, a recently dismissed banker, Eric Dale, talks about one of his accomplishments as an engineer before he went into banking. He explains that he’d helped to build a bridge fro...
Regulatory developments are changing the shape of the European financial landscape – so to what extent will this create a level playing field for banks and insurers in the Dutch residential mortgage...
On 31 October 2017, the European Banking Authority (EBA) published a consultation paper on the update of its ‘Guidelines on the management of interest rate risk arising from non-trading book activit...
EIOPA published the first paper in a series of three on systemic risk and macroprudential policies in the insurance sector.
In close cooperation with Zanders, GloComNet presents the current issues around the topic complexity in a series of six live webcasts.
Back in 2010, the American Economic Review published the article Growth in a time of debt, which was penned by Carmen Reinhart and Kenneth Rogoff (Reinhart and Rogoff).
“Stress testing is like Max Verstappen in Formula 1: We are learning, but at the same time, we drive fast.” Our stress testing event on September 28th offered some remarkable, valuable insights.
EBA IRRBB Guidelines. On the 31st of October, the European Banking Authority published a consultation paper with updated guidelines on the management and measurement of interest rate risk in the banki...
In recent years, banks’ internal models have been subjected to an increasing amount of public scrutiny. Several benchmark studies have exposed high variability in regulatory capital calculations tha...
Regulation on interest-rate risk in the banking book (IRRBB) is evolving after being somewhat overlooked in recent years. Banks are now updating their interest-rate risk frameworks and have important ...
The world is complex and the future uncertain. What does that mean for the existing models on which we base our expectations? For Prof. Lex Hoogduin, professor of complexity and uncertainty in financ...
As a response to the new regulatory guidelines on Interest Rate Risk in the Banking Book (IRRBB) and the Supervisory Review and Evaluation Process (SREP), the Capitalisation of IRRBB is gaining in imp...
The imposing hall of the Koninklijke Tropeninstituut (KIT – the royal tropical institute) has a long history of science and learning but is also the perfect setting for a seminar on the future of ri...
Zanders has conducted two surveys on interest rate risk in the banking book (IRRBB) in the Netherlands and in Switzerland to understand how banks perceive the proposed regulatory changes.
At 21 April 2016, the BCBS published its final version of the IRRBB Standards, which have to be implemented by 2018. This document contains the main takeaways and most noteworthy elements of this docu...
Since the launch of the European Banking Union, the Dutch Central Bank (DNB) has taken on other duties and responsibilities. In order to supervise the European banks, the European Central Bank (ECB) w...
The Basel Committee on Banking Supervision has proposed a new capital floor for banks based on a revised standardized approach for credit risk. Dutch banks are wary of this proposal, as it may disprop...
Many banks use a framework of replicating investment portfolios to measure and manage the interest rate risk of variable savings deposits. There are two commonly used methodologies, known as the margi...
Technology has changed the way we interact with companies. Over the past decade, many industries have been disrupted by the likes of Uber, Facebook and Airbnb.1 The business model of banks,...
Data availability and computational power limitations have long constrained risk management in financial institutions. As data becomes ever more abundantly available and easier to process, a realm of ...
At the Zanders Risk Management seminar, last April, after his presentation on ‘Risk management in a changing world’, there didn’t seem to be any questions he couldn’t answer. So we asked Wilfr...
The high level of interest in the topic of Interest Rate Risk in the Banking Book (IRRBB) was highlighted in the banking survey Zanders conducted at the end of 2014, and from the round table discussio...
In January 2013, the Basel Committee on Banking Supervision (BCBS) proposed the Principles for Effective Risk Data Aggregation and Risk Reporting, known as BCBS 239 or PERDARR.
The impressive Hermitage Amsterdam in itself offered visitors to the Zanders Risk Management Seminar 2015 a promising backdrop for an interesting afternoon. The speakers added value to this from thei...
The interest expenses on variable savings are an important driver for a bank’s results. Unlike mortgage interest rates, for instance, there is no knowing when and to what degree the variable savings...
Savers who place their cash in deposit accounts – and can withdraw the funds from their account at any time – are thus able to decide the liquidity profile of this important source of funding for ...
On 30 March 2015 the Bank of England (BoE) published the key elements of the 2015 stress test for the UK banking system. This stress test is an important step for the BoE towards its medium-term st...
Where do Dutch banks stand with respect to the modeling of interest rate risk in the banking book (IRRBB)? What are the biggest challenges? What are the current best market practices? And how do they ...
Billions of euros of public funds were invested in systemically important institutions in order to sustain them at the height of the crisis. This was deemed an absolute one-off bail-out and the Fin...
For banks, using variable savings as a source of financing differs fundamentally from ‘professional’ sources of financing. What risks are involved and how do you determine the return?
On a day to day basis I regularly hear “I have to pop to Risk to find out what they think about this”, or “What does Compliance say?” and “Does this fit in with our ri...
In preparation for the Single Supervisory Mechanism (SSM), the ECB will start a validation of all major banks in Europe as of November 2013.
Think what you want of the world’s financial regulators, but at least their response to the past crises has been crystal clear: please carry on just as before! The Bank of Internal Settlem...
The Bank for International Settlements’ (BIS) capital requirements for banks, also known as Basel III, impact on a wide variety of stakeholders. It's not only the banks that are...
To many people, MSCI is known for its World Indices. But as a leading provider of investment decision support tools, MSCI offers software to companies, helping them to analyze financial markets suc...
In 2012 the Dutch Minister of Finance informed the Lower House of a number of measures concerning the interest rate policy of providers of mortgage credit.
During the Zanders risk management seminar held last autumn, Pieter Klaassen, head of Risk Appetite and Investments at UBS, introduced the audience to risk appetite. In this edition of Zanders Maga...
Its expert speakers promised a lot and the number of early registrations demonstrated just how much interest there is for this year’s theme: effective capital management – once a qualit...
The Global Association of Risk Professionals (GARP) has more than 85,000 members worldwide.
A chapter of the association has been active in the Netherlands for a few years now. Gert-Jan S...
The Credit Risk Modeling department of De Volksbank faced a challenge: how to implement new regulations, including the new definition of default that form the basis of credit risk models. Having to ex...
In order to assess their risk management practices, the Dutch Central Bank (DNB) requires all banks to complete an annual Supervisory Review and Evaluation Process (SREP), including capital and liquid...
Six years ago, LeasePlan decided to set up its own savings bank. In order to be able to follow an investment strategy that reflects the needs of a savings bank, it is important to have a good idea of...
In the Netherlands, the local government and institutions with a public interest are able to borrow from BNG Bank against low rates. The bank was set up specifically for this purpose and, as a result,...
At more than 275 years old, Van Lanschot is the oldest independent private bank in the Netherlands. With an eye on the rapidly changing market, last year the bank decided to change its strategy. Ev...
Six years ago, in the middle of the challenging days of a new-born financial crisis, Anadolubank Nederland N.V. entered the Dutch market. Looking back, the bank didn’t seem to suffer much fro...
As a bank providing financial services to business enterprises and financial institutions located in North and Sub-Saharan Africa, the Middle East and the Indian Subcontinent, Banca UBAE relies o...
The government is looking for ways of working more efficiently, more cost-effectively and with more transparency. That also applies to the Netherlands State Treasury Agency (Agentschap van de Gener...
When IFRS was introduced, Delta Lloyd Bank decided to value its mortgage portfolio at fair value and enter it directly on the balance sheet. That worked well but when the credit crisis came, the ...
Until recently, Triodos Bank primarily used qualitative analysis based on years of practical experience to manage risks in savings. As evidenced by the sustainable bank’s continuous growth, i...
